I finally stopped with the Pentel mechanical pencils after I got tired of the last 1/2" of lead just falling out of the thing always as a bad moment (when I want to write). The 0.5mm leads kept breaking too.
I gave up on 0.5 like ten minutes into my first office job during the summer before my first semester of college. Broke that "lead" every time. I press too hard.
The place had 0.7 versions of the same pencils and those don't break. I was happier.
I then went on a mechanical pencil "quest" being a geek, and all.
There's different hardnesses of "lead" with "HB" being the most common, since it most closely matches a "#2" pencil, but I found that the next softer rating made for more comfortable writing, darker marking on the paper, and resisted breakage better.
I know, boring info but maybe I can send someone else down the path of hunting the mechanical pencil aisle at office-supply stores for their own "pencil odyssey" in finding the right pencil for them. I eventually settled on 0.9 and 4B.
Over the years I've tried various combinations including 0.3 sized stuff and harder and softer "lead" too.
http://davesmechanicalpencils.blogspot.com/2006/04/lead-size-hardness.html
One batch of "lead" I bought fixed that "end of the lead" problem by changing color from black to red at the end. It was prone to breakage at the color change point and I never saw any of it ever again in any stores. Definitely wasn't available in my 0.9 favorite size anyway. Only 0.5 and 0.7.
Go forth and play with more mechanical pencils now!